Name: Pairs trading (en Inglés)
Price: 1150.32 MXN
Availability: InStock
Author: Huang, Zhe ; Martin, Franck
ISBN: 9786202288194

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Formato

Libro Físico

Autor

Zhe Huang

Franck Martin

Editorial

Editions Universitaires Europeennes

Idioma

Inglés

N° páginas

Encuadernación

Tapa Blanda

Dimensiones

22.9 x 15.2 x 0.3 cm

Peso

0.10 kg.

ISBN13

9786202288194

Categorías

Teoría del derecho

Pairs trading (en Inglés)

Zhe Huang (Autor) · Franck Martin (Autor) · Editions Universitaires Europeennes · Tapa Blanda

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Reseña del libro "Pairs trading (en Inglés)"

Statistical arbitrage is based on pairs trading of mean-reverting returns. We used cointegration approach and ECM-DCC-GARCH to construct 98 pairs of 152 stocks of 3 currencies. Stocks trading is done by Contract for Difference. To measure the performance, we introduced the profit factor which is the annualized return rate per unit risk. And the historical risk is measured by maximum drawdown. We compared three main strategies: percentage, standard deviation of cointegration long term residuals and Bollinger Bands (dynamic standard deviation), with and without double confirmation of short term standard deviation modeled by ECM-DCC-GARCH. Each of the three main strategies is optimized by two optimizers: absolute profit and profit factor. The optimization period goes from 2012-01-01 to 2014-12-31, and validation period is from 2015-01-01 to 2016-06-01. Our results showed that the USD Bollinger Bands strategy without double confirmation and optimized by profit factor, outperformed other strategies and provided the highest annualized return rate per unit risk. 32% of our sample pairs ended up in loss, and 94% of which are explained by a cointegration break during the testing period.